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Equilibrium pricing bounds on option prices

✍ Scribed by Marie Chazal; Elyès Jouini

Book ID
107399480
Publisher
Springer-Verlag
Year
2008
Tongue
English
Weight
355 KB
Volume
1
Category
Article
ISSN
1862-9679

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✍ Ming Dong 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 161 KB

## Abstract Black, F. and Scholes, M. (1973) assume a geometric Brownian motion for stock prices and therefore a normal distribution for stock returns. In this article a simple alternative model to Black and Scholes (1973) is presented by assuming a non‐zero lower bound on stock prices. The propose